currently on the SPY Trend/Pullback the aggressive exit version
needs a close above the 8 day SMA to exit. Trying to get a hold of
my programmer, I want him to add an EMA option to that, I want to
also test the 8 and 9 EMA against that to see which is better.
Price may be closing over the 8 or 9 EMA today but NOT the 8 SMA,
so I wish to test that. If the 25 year history ends up favoring the
EMA over the SMA I'll switch to that and send a trade alert out
so I got the code update, ran the backtest back to 1995 testing
the 7- 10 SMA along with the 7 - 10 EMA as short term exit
here's the results. The image, the area in gray is what we use
the 8 SMA. The test that made the most money was using the 10
SMA but max draw down goes away up for obvious reasons.
The 8 SMA appears to be just slightly better than the 8
EMA.
The 9 EMA is slightly better with an 11 profit favtor, and the
10 EMA is the best overall with a 12 profit factor and same max
draw down.
Currently the 9 EMA on the SPY is 431.58, current price is now
431.14 and the high was 432.08 so it was above that intra day
the 9 EMA - too bad price won't be closing over it, it was above
it 15 min ago.
as far as which systems? I've made that clear many times, I use
both. I use the harder to enter a long position. For exiting that
position I then I use the (easier to exit version ) to exit 1/2 the
trade (usually the option) and keep long the ETF based on the one
that holds longer as it makes more profit, and I place a stop at
entry.
Newsletter
Subscribe to our email list for regular free market updates
as well as a chance to get coupons!
currently on the SPY Trend/Pullback
SPY System update
Posted by matt on 20th of Jul 2021 at 12:36 pm
currently on the SPY Trend/Pullback the aggressive exit version needs a close above the 8 day SMA to exit. Trying to get a hold of my programmer, I want him to add an EMA option to that, I want to also test the 8 and 9 EMA against that to see which is better. Price may be closing over the 8 or 9 EMA today but NOT the 8 SMA, so I wish to test that. If the 25 year history ends up favoring the EMA over the SMA I'll switch to that and send a trade alert out
so I got the code
Posted by matt on 20th of Jul 2021 at 01:35 pm
so I got the code update, ran the backtest back to 1995 testing the 7- 10 SMA along with the 7 - 10 EMA as short term exit
here's the results. The image, the area in gray is what we use the 8 SMA. The test that made the most money was using the 10 SMA but max draw down goes away up for obvious reasons.
The 8 SMA appears to be just slightly better than the 8 EMA.
The 9 EMA is slightly better with an 11 profit favtor, and the 10 EMA is the best overall with a 12 profit factor and same max draw down.
Currently the 9 EMA on the SPY is 431.58, current price is now 431.14 and the high was 432.08 so it was above that intra day
Which are you intending to
Posted by jackbnimble on 20th of Jul 2021 at 03:44 pm
Which are you intending to use as the exit for “Harder-to-enter, easier-to-exit” system trade currently long?
the 9 EMA - too
Posted by matt on 20th of Jul 2021 at 03:57 pm
the 9 EMA - too bad price won't be closing over it, it was above it 15 min ago.
as far as which systems? I've made that clear many times, I use both. I use the harder to enter a long position. For exiting that position I then I use the (easier to exit version ) to exit 1/2 the trade (usually the option) and keep long the ETF based on the one that holds longer as it makes more profit, and I place a stop at entry.